1 citations · 1 across the 5 of their papers we have counts for
6 papers
Systems of rough stochastic differential equations I: weak existence and Yamada--Watanabe
Florian Huber
For systems of rough stochastic differential equations in the sense of Friz--Hocquet--Lê, with a fixed deterministic rough driver, we prove two results. The first is weak existence…
A Flexible Approach to Augmenting a Bayesian VAR with Nonlinear Factors
Todd Clark, Florian Huber, Gary Koop
This paper proposes a vector autoregression augmented with nonlinear factors that are modeled nonparametrically using regression trees. There are four main advantages of our model.…
Fluctuation Correction and Global Solutions for the Stochastic Shigesada-Kawasaki-Teramoto System via Entropy-Based Regularization
Florian Huber
We study a stochastic extension of the n-species Shigesada-Kawasaki-Teramoto (SKT) cross-diffusion system, in which a multiplicative noise term accounts for fluctuation corrections…
Markovian Lifts of Stochastic Volterra Equations in Sobolev Spaces: Solution theory, an Ito Formula and Invariant Measures
Florian Huber
We investigate Markovian lifts of stochastic Volterra equations (SVEs) with completely monotone kernels and general coefficients within the framework of weighted Sobolev spaces. Ou…
Polynomial interacting particle systems and non-linear SPDEs for market capitalization curves
Christa Cuchiero, Florian Huber
Motivated by the robustness of the capital distribution curves, we study the behavior of a certain polynomial equity market model as the number of companies goes to infinity. More…
Bayesian Nonlinear Regression using Sums of Simple Functions
Florian Huber
This paper proposes a new Bayesian machine learning model that can be applied to large datasets arising in macroeconomics. Our framework sums over many simple two-component locatio…